Power Exchange Option


Power Exchange Option is a direct subtype of MultiAsset Option
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with functions Power Exchange Option Functions, keys Power Exchange Option keys and example object PEO

TYPE INCLUSION RELATIONSHIPS

MultiAsset Option

Power Exchange Option

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Alpha 1

Alpha 2

Base Option

Lambda 1

Lambda 2

Tradable 1

Tradable 2

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TYPICAL OBJECTS OF TYPE Power Exchange Option

PEO

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This type represents a combination of a spread and power option.
The payoff is given by:
max{ λ₁S₁(T)ᵅ¹-λ₂S₂(T)ᵅ² , 0 }
where
λ₁, α₁, λ₂, α₂ are all constants and
S₁(T), S₂(T) are the prices of two specified underlyings at the option expiry time T

The following features are currently not supported:
American exercise, barriers, discrete dividends/storage costs.

European options having this payoff can be priced using Pricing Method = BlenmanClark